Generalized backward stochastic variational inequalities driven by a fractional Brownian motion

被引：2

作者：

Borkowski, Dariusz ^{[1
]}

Janczak-Borkowska, Katarzyna ^{[2
]}

机构：

[1] Nicholas Copernicus Univ, Fac Math & Comp Sci, Torun, Poland

[2] Univ Technol & Life Sci, Inst Math & Phys, Bydgoszcz, Poland

来源：

BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS | 2016年 / 30卷 / 03期

关键词：

Backward stochastic differential equation; fractional Brownian motion; backward stochastic variational inequalities; subdifferential operator; BSDES;

D O I：

10.1214/15-BJPS291

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study the existence and uniqueness of the generalized reflected backward stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H greater than 1/2. The stochastic integral used throughout the paper is the divergence type integral.

引用

页码：502 / 519

页数：18

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